Keyframes Not Showing in Dope Sheet
If you press I over the 3D window and choose LocRot from the drop-down menu, the keyframe pop up immediately for the selected bone. Perhaps you were pushing I while your mouse was in another window?

I see you have changed LocRot in the automatic record field, which will do nothing unless you activate it by pushing the red button. After activation move bones to your hearts content. Despite the auto-function - general practise is to select you bones in the 3D window and manually set the first keyframes as described above. If you wish to do automatic key framing, understand it will record everything including your mistakes. Advise tuning that off unless you specifically need it.